Row

Rank

Predicted Beta

Idiosyncratic Volatility

Row

Annualized return and volatility

Close
Annualized Return 0.0846
Annualized Std Dev 0.2222
Annualized Sharpe (Rf=0%) 0.3806

Row

Daily Return Statistics

Close
Observations 4139.0000
NAs 1.0000
Minimum -0.1146
Quartile 1 -0.0053
Median 0.0010
Arithmetic Mean 0.0004
Geometric Mean 0.0003
Quartile 3 0.0068
Maximum 0.1190
SE Mean 0.0002
LCL Mean (0.95) 0.0000
UCL Mean (0.95) 0.0008
Variance 0.0002
Stdev 0.0140
Skewness -0.3620
Kurtosis 8.8281

Downside Risk

Close
Semi Deviation 0.0103
Gain Deviation 0.0098
Loss Deviation 0.0114
Downside Deviation (MAR=210%) 0.0147
Downside Deviation (Rf=0%) 0.0101
Downside Deviation (0%) 0.0101
Maximum Drawdown 0.6492
Historical VaR (95%) -0.0215
Historical ES (95%) -0.0349
Modified VaR (95%) -0.0215
Modified ES (95%) -0.0405
From Trough To Depth Length To Trough Recovery
2007-10-10 2009-03-09 2013-03-08 -0.6492 1361 354 1007
2020-02-13 2020-03-23 2020-11-10 -0.4272 189 27 162
2018-01-29 2018-12-24 2019-11-01 -0.2514 445 229 216
2015-02-25 2016-01-20 2016-07-12 -0.1761 348 228 120
2006-05-10 2006-08-09 2007-01-16 -0.1344 172 64 108

Row

Monthly and Calendar Year Returns

Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Close
2004 NA NA NA NA NA NA NA NA 0.8 0.5 1 -0.3 2.1
2005 0.7 0.4 -0.9 0.8 0.4 -0.1 0.3 0.9 0.5 -0.5 1.1 -0.5 3.1
2006 0.6 0.8 0.1 0.1 1.3 0.1 -0.9 0.6 -0.6 -0.7 -0.9 -0.5 -0.2
2007 1.3 -0.5 -0.1 0.3 0.2 -0.2 0 1.3 1.7 -2.2 0.6 -0.8 1.6
2008 1.9 -2.5 3.5 1.3 0.7 -0.1 -0.6 -1.3 -2.8 2.8 -8.9 2.7 -3.9
2009 -2.4 -2.4 1.7 0.8 4.8 0.7 0.4 -1.9 -2.7 -2.8 1.5 -1.3 -3.8
2010 1.3 1.2 0.7 -2.2 -2 -0.8 0.3 3.9 0.1 -0.1 2.6 0 4.9
2011 1.6 -2.2 0.9 0.5 -3.2 1.8 -0.5 -1.9 -3.2 -3.4 -0.2 -0.4 -9.9
2012 1.5 0.2 0.3 0.3 -3.1 3.3 -0.9 0.6 0.4 1.8 -0.1 1.9 6.4
2013 1 -0.2 -1.2 -1.5 -0.8 1.1 1.8 -0.8 0.8 0.7 -0.3 0.5 0.9
2014 -0.5 0.2 0.8 -0.2 0 0.7 -0.1 0 -1.9 1.2 -1.4 -0.9 -2.2
2015 -1.7 -0.5 -0.9 1.2 0.4 0.2 0.1 -2.6 -0.2 -0.2 0.6 -0.6 -4.3
2016 -0.2 2 0.3 -0.6 0 0.4 -0.2 0.1 1 -0.9 0.6 -0.3 2.1
2017 -0.1 1.8 -0.2 -0.2 0.9 0.8 -0.2 0.3 0.2 -0.1 -1.1 -0.3 1.7
2018 0 -1.6 1.5 -0.4 1.1 0.2 -1.1 0 0.5 1.8 1 1 4.2
2019 0.2 0.3 2 -0.8 -1.4 0.3 -2 0.4 -2.3 2.1 -0.7 -0.1 -2
2020 -2.2 -1.1 -4.8 -3.2 0.4 -0.7 -0.5 1.1 0.1 -0.2 -0.2 0.4 -10.5
2021 1.4 2.7 -0.6 NA NA NA NA NA NA NA NA NA 3.6

Row

Price Chart

# tidytable [6 × 21]
  datadate   Close tic.x   spy   ret.x ret_1W.x ret_1M.x ret_3M.x ret_1Y.x ret_3Y.x ret_5Y.x tic.y   gld ret.y ret_1W.y
  <date>     <dbl> <chr> <dbl>   <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl> <chr> <dbl> <dbl>    <dbl>
1 2004-09-29  49.2 SPY    112.  0.005    0.0026   0.0119  -0.0235   0.108    0.0936   -0.125 <NA>     NA    NA       NA
2 2004-09-30  49.6 SPY    112. -0.0007   0.0073   0.0059  -0.0104   0.118    0.0701   -0.125 <NA>     NA    NA       NA
3 2004-10-04  50.5 SPY    114.  0.0017   0.0279   0.0112   0.0174   0.111    0.0782   -0.113 <NA>     NA    NA       NA
4 2004-10-05  50.3 SPY    114.  0.0005   0.0235   0.0159   0.015    0.102    0.061    -0.102 <NA>     NA    NA       NA
5 2004-10-06  50.6 SPY    115.  0.0063   0.0249   0.0156   0.0287   0.104    0.0668   -0.110 <NA>     NA    NA       NA
6 2004-10-07  50.3 SPY    113. -0.0102   0.0151   0.0077   0.0154   0.0881   0.058    -0.117 <NA>     NA    NA       NA
# … with 6 more variables: ret_1M.y <dbl>, ret_3M.y <dbl>, ret_1Y.y <dbl>, ret_3Y.y <dbl>, ret_5Y.y <dbl>, rel <dbl>

Row

Rolling Performance Chart

Row

Snail Trail Chart